Examples of frequently used data fields. Each schema is represented as a collection of fields. View all supported fields by schema ->

• publisher_id

  The publisher ID assigned by Databento, which denotes the dataset and venue.

• instrument_id

  The numeric instrument ID.

• order_id

  The order ID assigned at the venue.

• ts_event

  The matching-engine-received timestamp expressed as the number of nanoseconds since the UNIX epoch.

• ts_recv

  The capture-server-received timestamp expressed as the number of nanoseconds since the UNIX epoch.

• ts_in_delta

  The matching-engine-sending timestamp expressed as the number of nanoseconds before ts_recv

• price

  The order price where every 1 unit corresponds to 1e-9, i.e. 1/1,000,000,000 or 0.000000001.

• action

  The event action. Can be Add, Cancel, Modify, cleaR book, Trade, or Fill.

• size

  The order quantity.

• flags

  A bit field indicating event end, message characteristics, and data quality.

• expiration

  The last eligible trade time expressed as a number of nanoseconds since the UNIX epoch.

• strike_price

  The exercise price if the instrument is an option. Converted to units of 1e-9, i.e. 1/1,000,000,000 or 0.000000001.

Examples of popular API methods. Our APIs are organized into four categories: metadata, timeseries, symbology, and batch download. View all supported API methods ->

• metadata

  Get dataset range

  Get the available date range for a dataset.

• metadata

  List publishers

  List all our dataset publishers.

• metadata

  List datasets

  List all our available dataset names.

• metadata

  List schemas

  List all available market data schemas for a dataset.

• metadata

  Get cost

  Get the dollars for a historical streaming or batch download request.

• timeseries

  Get range

  Stream time series data using our Historical API.

• symbology

  Resolve

  Resolve a list of symbols into their exchange specific identifier.

• batch

  Download

  Download a completed batch job.

• batch

  Submit job

  Submit a large data request to our batch system for download.

All datasets provide full flexibility and the ability to customize sampling resolution.

• Every book update

  Every order execution, add, cancel, replace, book snapshot, and more. By the nanosecond.

• Tick-by-tick

  Every trade and quote. By the nanosecond.

• 1 second

  Subsampled BBO, last sale, and OHLCV aggregates by the second.

• 1 minute

  Subsampled BBO, last sale, and OHLCV aggregates by the minute.

• Hourly

  OHLCV aggregates by the hour.

• Daily

  Daily market statistics, indicative opening and closing prices, OHLCV aggregates, and more.